Systems and Methods for Prevention of Manipulation and Gaming in Electronic Intraday Auctions

ABSTRACT

This disclosure provides systems and methods for prevention of manipulation and gaming in electronic intraday auctions. The system includes using at least one processing device for obtaining orders related to an asset from an electronic trading system. The system includes using at least one processing device for identifying a value for the asset to be used during an intraday auction involving the asset. The identified value is based on a detected order cross within the orders. The value is identified and set prior to the intraday auction. The value is located within a best bid and best offer spread (BBO) band. The system includes using at least one processing device for initiating the intraday auction involving the asset based on the identified and set value and the detected order cross. Changes to the BBO band during the intraday auction do not affect the identified and set value.

CROSS-REFERENCE TO RELATED APPLICATION AND CLAIM OF PRIORITY

The present application is a continuation of U.S. application Ser. No.16/818,925, filed Mar. 13, 2020, which is a continuation of U.S.application Ser. No. 15/961,684, filed on Apr. 24, 2018, now U.S. Pat.No. 10,628,885 issued Apr. 21, 2020, which claims the benefit ofpriority to U.S. Application No. 62/488,902 filed on Apr. 24, 2017, eachof which are hereby incorporated by reference in their entireties.

TECHNICAL FIELD

This disclosure relates generally to computing systems and morespecifically to systems and methods for prevention of manipulation andgaming in electronic intraday auctions.

BACKGROUND

Electronic platforms that are provided by various organizations tosupport intraday auctions for valuable instruments. Intraday auctionsrefer to auctions that are conducted for valuable instruments duringnormal trading hours for those valuable instruments. Intraday auctionscan be useful, for example, to help improve the liquidity of certainassets. Unfortunately, when auctions last throughout the day, algorithmsused to identify values for the valuable instruments being auctioned canbecome subject to manipulation through millisecond and sub-millisecondaccess to the electronic platform. As a result, the algorithms may notbe able to identify proper values for the valuable instruments beingauctioned.

SUMMARY

This disclosure provides systems and methods for prevention ofmanipulation in electronic intraday auctions.

In a first embodiment, a method includes using at least one processingdevice for obtaining orders related to an asset from an electronictrading system. The method also includes using at least one processingdevice for identifying a value for the asset to be used during anintraday auction involving the asset. The identified value is based on adetected order cross within the orders. The value is identified and setprior to the intraday auction. The value is located within a best bidand best offer spread (BBO) band. The method also includes using atleast one processing device initiating the intraday auction involvingthe asset based on the identified and set value and the detected ordercross. Changes to the BBO band during the intraday auction do not affectthe identified and set value.

In a second embodiment, an apparatus at least one processing device andat least one memory storing instructions. When executed by the at leastone processing device, the at least one processing device performsobtaining orders related to an asset from an electronic trading system.The at least one processing device also performs identifying a value forthe asset to be used during an intraday auction involving the asset. Theidentified value is based on a detected order cross within the orders.The value is identified and set prior to the intraday auction. The valueis located within a best bid and best offer spread (BBO) band. The atleast one processing device also performs initiating the intradayauction involving the asset based on the identified and set value andthe detected order cross. Changes to the BBO band during the intradayauction do not affect the identified and set value.

In a third embodiment, a non-transitory computer readable mediumcontains instructions that, when executed by at least one processingdevice, cause the at least one processing device to perform obtainingorders related to an asset from an electronic trading system. Theinstructions also cause the at least one processing device to performidentifying a value for the asset to be used during an intraday auctioninvolving the asset. The identified value based on a detected ordercross within the orders, wherein the value is identified and set priorto the intraday auction. The value is located within a best bid and bestoffer spread (BBO) band. The instructions also cause the at least oneprocessing device to perform initiating the intraday auction involvingthe asset based on the identified and set value and the detected ordercross. Changes to the BBO band during the intraday auction do not affectthe identified and set value.

Other technical features may be readily apparent to one skilled in theart from the following figures, descriptions, and claims.

BRIEF DESCRIPTION OF THE DRAWINGS

For a more complete understanding of this disclosure and its features,reference is now made to the following description, taken in conjunctionwith the accompanying drawings, in which:

FIG. 1 illustrates a system-level architecture that supports preventionof manipulation in electronic intraday auctions according to anembodiment of this disclosure;

FIG. 2 illustrates an example device for prevention of manipulation inelectronic intraday auctions according to this disclosure;

FIG. 3 illustrates an orderbook according to an embodiment of thisdisclosure;

FIG. 4 illustrates an auction flow according to an embodiment of thisdisclosure;

FIG. 5 illustrates a time series diagram with peg orders only;

FIG. 6 illustrates a time series diagram, with peg orders only,according to an embodiment of this disclosure;

FIG. 7 illustrates a time series diagram with peg and limit orders;

FIG. 8 illustrates a time series diagram with peg and limit orders,according to an embodiment of this disclosure;

FIG. 9 illustrates a time series diagram with BBO manipulation at pricedetermination;

FIG. 10 illustrates a time series diagram with price lookbackstabilization according to an embodiment of this disclosure;

FIG. 11 illustrates a time series diagram with BBO latency at pricedetermination;

FIG. 12 illustrates a time series diagram with price stabilization lookforward according to an embodiment of this disclosure; and

FIG. 13 illustrates a time series diagram with lookback and look forwardperiods according to an embodiment of this disclosure.

DETAILED DESCRIPTION

FIGS. 1 to 13 , discussed below, and the various embodiments used todescribe the principles of the present invention in this patent documentare by way of illustration only and should not be construed in any wayto limit the scope of the invention. Those skilled in the art willunderstand that the principles of the invention may be implemented inany type of suitably arranged device or system.

As noted above, intraday auctions refer to auctions that are conductedfor financial instruments during normal trading hours for thosefinancial instruments on an electronic trading system. An electronictrading system provides a central market place where both buyers andsellers can buy/sell financial instruments. Traders connect to theelectronic trading system via their own trading computers, which canreceive market data from the electronic trading system, and which canissue commands to buy or sell specific financial instruments. Theissuance of commands to buy or sell financial instruments from a tradingcomputer to the electronic trading system is called electronic trading.Because the function of electronic trading systems is to facilitate themarket for various financial instruments, the electronic trading systemsare sometimes called electronic markets or electronic exchanges.

When auctions last throughout the day, pricing algorithms used toidentify prices for the financial instruments being auctioned can becomesubject to manipulation. For example, if an intraday auction involves aspecific asset that is also listed on a stock exchange, pricingalgorithms could use the price for the asset on the stock exchange whenidentifying a market price for the asset in the intraday auction. Ifsomeone were to temporarily manipulate the price for the asset on thestock exchange (even for a few milliseconds), this could cause thepricing algorithms to identify an incorrect market price for the assetin the intraday auction. An asset may be an example of a security orother financial instrument.

This disclosure provides systems and methods for prevention ofmanipulation in electronic intraday auctions when using an electronictrading system. Among other things, the systems and methods set theprice for an intraday auction before the auction begins based on ordersfor the financial instrument involved in the intraday auction. Thesystems and methods also provide a price stabilization process that usesboth look-back and look-forward periods to avoid temporary pricemanipulations. In general, the approach operates in three phases. In the“pre-auction” phase, the auction price is set based on initial ordersinvolving a financial instrument and an “order cross” within the orders,and the look-back and look-forward periods are used. In the “auctioncall” phase, additional buy and sell orders for the financial instrumentcan be received. In the “uncross” phase, the auction uncrosses, andactual trades for the financial instrument can be initiated. Theseapproaches help to ensure that an auction price for an intraday auctionstarts and remains within a best bid and best offer spread (BBO) from aliquid market. If the BBO moves during the auction so that the auctionprice is no longer within the BBO at the time that the auctionuncrosses, the auction can be cancelled. These approaches can also beextended and used with conditional offers in the intraday auction.

FIG. 1 illustrates a system-level architecture 100 that supportsprevention of manipulation in electronic intraday auctions using anelectronic trading system according to an embodiment of this disclosure.Any other suitable computing platform could be used to support pricediscovery and price stabilization in electronic intraday auctions.

In FIG. 1 the electronic trading system 102 could be implemented in anysuitable manner. For example, in some embodiments, the electronictrading system 102 could be implemented using one or more servers orother computing devices. The individual functions of the electronictrading system 102 could be implemented using software or firmwareinstructions executed by one or more processors of the servers or othercomputing devices. Network 124 could denote any suitable network orcombination of networks. In some embodiments, the network 124 in thesystem-level architecture 100 denotes a private network that is designedto minimize latency of transmitted data. In some embodiments, electronictrading system 102 includes matching engine 104, real-time BBO feed 106,client gateway 108, market data publication 110, post trade processingsystem 112 for clearing, static referential data 114, market operationstools 116, file server 118, and T+1 surveillance 120.

The matching engine 104 can be a set of instructions that, when executedby a processor of system 100, processes all order messages through anauction process and executes the trades. Different embodiments of theauction process as executed by the matching engine 104 are describedherein in FIGS. 3-10 .

The matching engine 104 provides a randomized auction to run as a singleorder book alongside other order books (the books can run independentlywith no interaction). Running multiple order books provides the abilityto manage members 126 access separately between the auction pool and theother order books. For example, there may be two order books whichoperate independently of each other, a non-displayed liquidity pool anda displayed liquidity pool. The system 100 provides that an auctionprice will be within the Primary Best Bid or Offer (“PBBO”) and drivenfrom the most passive orders eligible to cross at the point of pricedetermination.

The non-displayed liquidity pool includes orders to be submitted forexecution/crossing at either the midpoint of the PBBO reference prices;the Primary Best Bid; or the Primary Best Offer (PBBO Formation andCrossing)). This will enable the Operator to rely on the reference pricewaiver under the market in Financial Instruments Directive (“MiFID”),permitting operation of the system 100 as a non-displayed liquidity poolon which orders are not subject to pre-trade transparency. The displayedliquidity pool functions as a periodic auction order book, withsubmitted orders triggering periodic auctions. For each auction, theuncross price and volume will be published in compliance with the MiFIDtransparency requirements. In one embodiment, there may be no relianceon any transparency waivers.

In an embodiment, the real-time BBO feed 106 receives exchange marketdata 122 from reference markets through network 124 and provides themarket data 122 to the matching engine 104. The market data 122 couldinclude BBO prices and quantities. The feed 106 can be a real-time feedvia the network 124, which may be low latency. This market data 122 isused to create a “price band”. Market data 122 is price andtrade-related data for a financial instrument reported by a tradingvenue such as a stock exchange. Market data 122 allows traders andinvestors to know the latest price and see historical trends forinstruments such as equities, fixed-income products, derivatives andcurrencies. The market data 122 is passed to matching engine 104.

Members 126 includes investment firms 128 a-d that are investment firmswho are members of the trading venue. Each investment firm 128 a-d hasone or more computer systems that are operable on the electronic tradingplatform of the trading venue. The trading venue can include the system100. Members 126 connect their trading systems to system 100 via aclient gateway 108. Client gateway 108 can include an applicationprogramming interface (API) that allows applications at the investmentfirms 128 to communicate with the system 100. In one embodiment, thegateway 108 connection utilizes a low latency network, such as network124. In this embodiment, the investment firm 128 d locates its tradingsystems in the same location as the system 100. Because network 124 isnot used, the time taken to access system 100 is reduced. The clientgateway 108 interacts and provides trading requests to matching engine104.

The matching engine 104 can access different databases to retrieve datafor use in the auction process. One internal database can be used tostore static referential data 114. The static referential data 114consists of (but not limited to) trading member configurations and thetrading instrument universe. The static referential data 114 can beprovided to the matching engine on a periodic basis. The marketoperations tools include a set of tools for monitoring and maintainingthe system 100 (trading venue). These tools monitor and control allcomponents of the system 100.

File server 118 is used for data record keeping and reporting. The datacan include trade data performed through the matching engine 104. T+1surveillance 120 can be a connection to another system that performsmarket abuse monitoring by collecting information from the matchingengine 104. T+1 surveillance 120 supports visibility monitoring purposesof all orders entered into the auction book even if they were ineligibleor the auction is cancelled.

The post trade processing system 112 takes a real-time feed from thematching engine and distributes all completed trades for post tradeprocessing. The completed trades can be (but not always) sent to centralcounterparties 134. Market data publication 110 can include a real timeAPI to publish system market data to third parties 132. The systemmarket data consists of (but not limited to) completed trades, pricesand volumes published in the auction processing. There may be timestampmonitoring of Indicative Matching Price/Volume (IMV/IMP) messages viathe market data publication 110. This could be included in the SLA andappropriate for pre-trade market data messages. Performance monitoringin production for the auction could be separate from the other orderbooks.

During the auction process, orders are validated at point of entry forconformance to criteria such as tick size, order size, orderconsideration, fat finger controls and member permission. Orders aremonitored in real-time to identify a Potential Match identified withinthe PBBO.

The Indicative Matching Price (IMP) is determined and fixed. A pricestabilization check is applied to ensure no BBO change occurred Xmilliseconds prior to the potential match and no there is no further BBOchange Y milliseconds after the potential match. If price stabilizationcheck succeeds, the auction call starts.

Indicative matching price (IMP) and indicative matching volume (IMV) arepublished at the start of the auction call. Once the auction callstarts, the IMP is fixed. New orders and specific amendments do notaffect the IMP, are permitted during the auction call and an updated IMVis published. The length of the auction call can be randomized withconfigurable minimum and maximum time parameters.

At the end of the auction call, if the IMP is still within the BBO, theauction uncross starts. Timestamps on trade acknowledgment messages sentto members could have microsecond granularity and be MiFID II compliant.Only one trade for the full volume may be published via the market datapublisher. Trade sides will be sent to the CCPs.

Note that while the system-level architectures are described as usingthe SIGMA X MTF platform from GOLDMAN, SACHS & CO., this is forillustration only. Any other suitable computing platform could be usedto support price discovery and price stabilization in electronicintraday auctions. The auction pool can share the same instrumentuniverse as SIGMA X MTF. The auction pool can use all the same haltinglogic that is used in SIGMA X MTF. An auction could be cancelled if aninstrument goes into a halted state at any time during the auctionprocess.

In one or more embodiments, the system 100 includes the ability todownload the auction book history for an instrument from the file server118 using the operations tools 116. The history could show the lifecycleof an auction for an instrument and identify which orders were involved.The system 100 also includes the ability to filter trades betweenauction and/or other orderbooks. The system 100 provides for anorderbook that uses separate tab for the auction and other orderbooks,visibility of all pre-order validation settings, the ability to manageeach of the members 126 permissions to the order books, and end of dayreport for auction orderbook history in using market data publication110.

Some organizations undertake trading or entering orders to trade in onetrading venue or outside a trading venue with the intention ofimproperly influencing the value of a financial instrument in anothertrading venue. These organizations also take advantage of high speedinfrastructure or locate trading servers as close as possible to serversof a trading venue to improve the speed at which the market data isreceived and the speed at which an electronic trading platform caninteract with the venue. A co-location is when the trading servers arelocated in the same warehouse as an electronic trading platform.Organizations can also use software to review multiple price feeds forfinancial instruments at the same time. When using low latencyarchitecture, price updates can be detected in one venue and that arenot yet reflected in a second trading venue. This delay in the secondtrading venue can allow the organization to execute a trade in thesecond trading venue taking advantage of the knowledge of the upcomingprice update.

Different embodiments of this disclosure recognize and consider that inelectronic trading systems where trading is performed using tradingcomputers connected to the electronic trading system, the opportunityexists to manipulate an auction on the electronic trading system usingmillisecond or sub-millisecond connections to the electronic tradingsystem. That is, the duration of the auction may exist longer than thespeed at which the trading computers can submit additional trades tomanipulate the auction. To overcome this technical issue with electronicauctions, the embodiments herein provide the ability to fix a price ofan auction and prevent manipulation from such attacks.

FIG. 2 illustrates an example device 200 for prevention of manipulationstabilization in electronic intraday auctions according to thisdisclosure. The device 200 could, for example, denote the computingdevice or one of the computing devices that implement the auction systemin the system-level architectures of FIG. 1 .

As shown in FIG. 2 , the device 200 includes at least one processingdevice 202, at least one storage device 204, at least one communicationsunit 206, and at least one input/output (I/O) unit 208. The processingdevice 202 executes instructions that may be loaded into a memory 210.In some embodiments, the instructions executed by the processing device202 could include instructions that implement the matching engine andother functions or components of the auction system. The processingdevice 202 includes any suitable number(s) and type(s) of processors orother devices in any suitable arrangement. Example types of processingdevices 202 include microprocessors, microcontrollers, digital signalprocessors, field programmable gate arrays, application specificintegrated circuits, and discrete circuitry.

The memory device 210 and a persistent storage 212 are examples ofstorage devices 204, which represent any structure(s) capable of storingand facilitating retrieval of information (such as data, program code,and/or other suitable information on a temporary or permanent basis).The memory device 210 may represent a random-access memory or any othersuitable volatile or non-volatile storage device(s). The persistentstorage 212 may contain one or more components or devices supportinglonger-term storage of data, such as a read only memory, hard drive,Flash memory, or optical disc.

The communications unit 206 supports communications with other systemsor devices. For example, the communications unit 206 could include anetwork interface card or a wireless transceiver facilitatingcommunications over a wired or wireless network. The communications unit206 may support communications through any suitable physical or wirelesscommunication link(s).

The I/O unit 208 allows for input and output of data. For example, theI/O unit 208 may provide a connection for user input through a keyboard,mouse, keypad, touchscreen, or other suitable input device. The I/O unit208 may also send output to a display, printer, or other suitable outputdevice.

Although FIG. 2 illustrates one example of a device 200 for pricediscovery and price stabilization in electronic intraday auctions,various changes may be made to FIG. 2 . For example, computing devicescome in a wide variety of configurations, and FIG. 2 does not limit thisdisclosure to any particular computing device.

FIG. 3 illustrates an orderbook 300 according to an embodiment of thisdisclosure. The orderbook 300 can be used by a processor implementingmatching engine 104 as shown in system 100 of FIG. 1 .

The auction price is determined at the beginning of the auction based onthe orders in the orderbook at that time. During the auction call phase,the price is fixed. For price determination orders are prioritized basedon price, broker priority, size, and/or time. The broker priority can beenabled at the order entry level. If not flagged on the order, theprioritization will be based on price, size, time. The matching engineselects a price point that will maximize executable quantity. If morethan one price point exists, the matching engine selects the price thatfalls exactly half way between the most passive orders (lowestbuyer+highest seller) included in the executable quantity.

Any orders that are submitted after the auction call phase is openedwill not contribute to the price discovery since the price is fixed.Those orders will benefit from time prioritization only.

In FIG. 3 , the orderbook 300 is provided vertically to illustrate thecrossed orders. The orderbook 300 includes a bid 302, limit price 304,ask 306, and executable quantity 308. Section 310 represents the BBOprices. The executable quantity 308 is shown at each of the respectiveprice points.

In this example, the orders include O1 that is a buy of 25 shares at aprice of 9, O2 that is a buy of 100 shares at 9.5 O3 that is a buy of 75shares at 10, and O4 that is a sell of 200 shares at 8. When followingthe prioritization logic, to maximize quantity, a price point of 8, 8.5or 9 (the prices between the lowest buyer and highest seller) should beselected. Since there are multiple price points available, to maximizequantity, the price that falls exactly half way between the most passiveorders on each side of the book (O1 and O4) is selected, thus theprice=8.5.

Order types can include a PBBO Bid with or without limit, a PBBO Midwith or without limit, a PBBO Ask with or without limit, and a limit(where a Limit order is entered, an aggressive Peg is automaticallyapplied to ensure it stays within the PBBO should the limit be/becometoo aggressive)

Examples of order types can include:

PBBO is 11-12. Buy Limit order at 13. Notional Price is 12;

PBBO is 11-12. Buy Limit order at 12. Notional price is 12. If PBBOchanges to 10-11, Notional Price is automatically updated to 11; and

PBBO is 11-12. Buy Limit order at 11. Notional Price is 11. PBBO changesto 12-13. Notional Price remains 11.

FIG. 4 illustrates an auction flow according to an embodiment of thisdisclosure. The auction flow can be performed by a processorimplementing matching engine 104 as shown in system 100 of FIG. 1 .

At step 402, the engine 104 provides a potential match with pricedetermination. The matching engine 104 monitors all orders in real-timeusing notional price, broker, size, and time criteria to identify apotential match within the BBO. Order parameters such as self-crossprevention and minimum quantity (MAQ) can be considered when finding apotential match. A potential match can occur through new order entry,order amendment, an unhalt of a stock, or a change in the BBO.

Price determination establishes the IMP that maximizes crossingopportunities and offer price improvement to both buyers and sellers.The IMP is calculated as the midpoint between the executable buy orderand executable sell order. An executable order is an order that willmatch in a single uncrossing when all orders have been prioritized andorder characteristics such as MAQ, self-cross prevention and brokerprioritization have been considered.

Where multiple orders with more than one price point (that could achievethe highest executable quantity) are used to form the potential match,the IMP is calculated as the midpoint between the lowest pricedexecutable buy and the highest priced executable sell of those orders.Only orders within the current BBO are considered, i.e. orders that aretoo passive are not considered. Orders cannot be too aggressive as anaggressive peg may be applied where no peg type is entered.

In various embodiments, MAQ reallocation logic can be applied to ensurethe quantity crossed is maximized. The IMP can be as granular as aquarter tick. Where the IMP is more granular than a quarter tick (due tothe contributing orders straddling two tick scale IDs), the IMP could berounded down to the next valid quarter tick. Classes can be adjustedaccordingly to accommodate the required decimal place setting. Themathematical rounding used today for trade prices that are greater thanthe decimal places available can be used for IMP calculation. Forexample, if the bid order is 100.0003 and the ask order is 100.0000, theresulting five decimal place IMP of 100.00015 will be rounded down to100.0001. A class is a subset of the SIGMA X MTF instrument plastform.These subsects are defined per underlying primary exchange. For example,all of the instruments that have the Swiss stock exchange as a primaryvenue can be gathered in one class.

If an instrument goes into a halted state during step 402, the auctionprocess is stopped and only restarted when the stock is unhalted and anew potential match can be found.

Once a potential match is identified, the matching engine 104 performs aprice stabilization check. The PBBO can be consumed from primary marketdata feeds 106. Under MiFID 2, this may become the “Most Liquid Market”data feed.

In one or more embodiments, there is a minimum period of X+Ymilliseconds before the auction call starts where no PBBO changes canhave occurred. At step 404, the matching engine 104 reviews a look backperiod that includes X milliseconds before the potential match timestampto identify whether the PBBO moved. If yes, the matching engine 104repeats step 402 and goes back to potential match with new PBBO.

At step 406, the matching engine 104 reviews a look forward period andwaits Y milliseconds from the end of the X timer (timestamp of thepotential match). If a PBBO change occurs, the matching engine 104repeats step 402 and goes back to potential match with new PBBO. Ifthere is no further PBBO changes on the instrument, the matching engine104 progresses to the auction trigger.

The values X+Y can be configured at a class level. These values could bevisible in the operational tools within a classes tab.

During step 406, new orders can be accepted and the notional price,broker, size, and time criteria can be rerun. If a new order affects theIMP, the auction procedure restarts at step 402. If there is no impactto IMP, step 406 continues even though the IMV will be updated.

Amendments can be accepted and the Notional Price/Broker/Size/Timematching algorithm can be rerun. If an amendment affects the IMP, theAuction procedure restarts at Step 402. If there is no impact to IMP,even if the IMV changes, step 406 continues. Amendments may result in anew timestamp.

If an instrument goes into a halted state during price stabilization,the auction process is stopped and is only restarted at step 402 whenthe stock is unhalted and a new potential match can be found.

At step 408, the matching engine 104 calculates the IMV using notionalprice, broker, size, and time criteria. Only orders with a notionalprice within the current PBBO may be considered. MAQ reallocation logiccan be applied to ensure the quantity crossed is maximized. If the PBBOhas moved since the IMP was created and the IMP is now outside the PBBO,the auction procedure restarts.

At step 410, the matching engine 104 publishes the IMP and initial IMVvia a market data message. Once the IMP and initial IMV are published,at step 412, the matching engine 104 starts the auction call. If thereare no orders already sitting in the orderbook, nor any orders enteredduring the auction call, the auction can be terminated.

During the auction call, the following amendments types are permitted:increase in volume, amend the price to be more aggressive, amend the MAQdown. Amendments can result in a new Timestamp. New orders arepermitted.

Cancellations received once the auction call has started may berejected. The following exceptions to this rule could apply, a cancel ondisconnect may continue to work and a cancel by the operations team maycontinue to work. If orders are canceled due to cancel on disconnect orby the operations team, the matching engine 104 may continue with theauction unless IMV=0. If IMV=0, the matching engine 104 may cancel theauction. The IMP does not change once it has been published.

The process used to allocate volume once the auction call phase hasstarted includes applying notional price, broker, size, and timepriority criteria for orders received prior to the auction call; a timepriority for orders received or amended during the auction call; orderparameters such as self-cross prevention, IMS, broker prioritization andMAQ are considered when allocating volume; and MAQ reallocation logiccan be applied to ensure the quantity crossed is maximized.

IMV can be updated via a market data message in real-time to reflect newor amended orders. The PBBO may not be considered when calculating theIMV during the auction call.

The duration of the auction call can be randomized with a system-levelsetting to determine the minimum and maximum duration in milliseconds.An auction call cannot begin if the IMP is less than or equal to zero orthe IMV is less than or equal to zero.

If an instrument goes into a halted state (for any reason) during theauction call, the auction process is stopped and is only restarted atstep 402 when the stock is unhalted and a new potential match can befound. IMP=0 and IMV=0 may be published via market data.

At step 414, the matching engine 104 determines whether the auctionprice is within the BBO. The IMP is used as the auction price. Step 414may occur after a predetermined amount of time. If not, the auction isterminated. If yes, at step 416, the matching engine performs an auctionuncross.

In various embodiments notional price, broker, size, and time criteriapriority is applied to orders with a timestamp prior to the auction calland time priority for orders received/amended during the auction call.Order parameters such as self-cross prevention, IMS, brokerprioritization and MAQ can be considered when allocating volume. MAQreallocation logic can be applied to ensure the quantity crossed ismaximized.

Whether the Auction takes place or is cancelled, any unfilled orpartially filled Good for Auction (GFA) Orders are cancelled back. Anyunfilled or partially filled GFD orders remain on the order book untilthe next auction or until cancelled.

Trades for each execution can be sent to a clearing house and can beMiFID2 compliant. In one example, there can be no change of marketidentifier code (MIC) on messages to the clearing house. MIC is a uniqueidentification code used to identify securities trading exchanges,regulated, and non-regulated trading markets. Trade messages to themembers can be microsecond granularity and MiFID II compliant. Trademessages via the market data publisher can contain the MIC for theauction. Only one trade for the full auction volume may be published viathe market data publisher. At the end of an auction, whether completedor cancelled, IMP=0 and IMV=0 could be published via market data.

These functions are described in conjunction with the system 100.However, the functions described in FIG. 4 could be used in any othersuitable system. Also note that the functionality of the system 100could be changed to include other or additional functionality.

FIGS. 5-13 illustrate various time series diagrams.

FIG. 5 illustrates a time series diagram 500 with peg orders only. Theactions in the time series diagram 500 can be performed by a processorimplementing matching engine 104 as shown in system 100 of FIG. 1 .

Time series diagram 500 includes an BBO timeline 502 and an auctiontimeline 504. During the timelines 502 and 504, orders can be placed andmarket data may change. Time series diagram 500 depicts price in avertical direction and time in a horizontal direction.

The BBO timeline 502 includes a BBO band using market data. The BBO bandhas a bid price 512 and an offer price 514. In this example, the bidprice 512 is 10 at time T0 and the offer price 514 is 11, and at time518 the bid price changes to 11.2 and at time 516 the offer pricechanges to 10.2.

The auction timeline 504 includes a pre-auction phase 520, an auctioncall phase 522, and an uncross phase 524. The pre-auction phase 520 isthe time prior to the auction call phase 522. The auction call phase 522lasts until order uncrossing 528. The uncross phase 524 occurs afterorder uncrossing 528. During these phases, the matching engine consumesorder messages from trading members and the BBO price band feed as shownin the BBO timeline 502 and auction timeline 504. The matching engineuses the pricing process to establish an auction price 530. The matchingengine then processes an auction whereby the price created is publishedand further order messages can be submitted, referred to as the auctioncall phase 522. The call phase 522 is the period when the auctionpublishes the price and volume which best satisfy the auction process.At the end of the call phase, the auction will “uncross” at orderuncrossing 528 and create trades based on the prioritization logic inthe pricing process of the uncross phase 524.

In FIG. 5 , during the pre-auction phase 520, a midpoint peg order of“Buy 50 at mid” is entered. The auction price 530 and volume are bothzero at this time. When a sell order of “Sell 60 at mid” is received,the orders cross to create order crossing 526. According to the BBOtimeline 502, the auction price 530 is 10.5, with a volume of 60.

At time 518, the auction price 530 changes to 10.6, and at time 516, theauction price 530 changes to 10.7. Because of the BBO band changes, themarket data can be manipulated on the reference market during theauction call phase 522 affecting the bid/mid/offer prices on peg ordersin the auction. In this example, the trade would occur at the orderuncrossing 528, where a trade of 60 shares at 10.7 occurs. Embodimentsof this disclosure recognize and consider that changes in the BBO cancreate unfavorable price movements. Orders can be cancelled during theauction call phase 522 when prices change, which adversely affects othermembers in the auction.

FIG. 6 illustrates a time series diagram 600, with peg orders only,according to an embodiment of this disclosure. The actions in the timeseries diagram 600 can be performed by a processor implementing matchingengine 104 as shown in system 100 of FIG. 1 . Compared to time seriesdiagram 600 of FIG. 5 , the auction price 602 is determined at the timethe auction is opened and fixed throughout the auction

Time series diagram 600 includes an BBO timeline 502 and an auctiontimeline 504. During the timelines 502 and 504, orders can be placed andmarket data may change. Time series diagram 600 depicts price in avertical direction and time in a horizontal direction.

The BBO timeline 502 includes a BBO band using market data. The BBO bandhas a bid price 512 and an offer price 514. In this example, the bidprice 512 is 10 at time T0 and the offer price 514 is 11, and at time518 the bid price changes to 11.2 and at time 516 the offer pricechanges to 10.2.

The auction timeline 504 includes a pre-auction phase 520, an auctioncall phase 522, and an uncross phase 524. The pre-auction phase 520 isthe time prior to the auction call phase 522. The auction call phase 522lasts until order uncrossing 528. The uncross phase 524 occurs afterorder uncrossing 528. During these phases, the matching engine consumesorder messages from trading members and the BBO price band feed as shownin the BBO timeline 502 and auction timeline 504. The matching engineuses the pricing process to establish an auction price 602. The matchingengine then processes an auction whereby the price created is publishedand further order messages can be submitted, referred to as the auctioncall phase 522. The call phase 522 is the period when the auctionpublishes the price and volume which best satisfy the auction process.At the end of the call phase, the auction will “uncross” at orderuncrossing 528 and create trades based on the prioritization logic inthe pricing process of the uncross phase 524.

In FIG. 6 , during the pre-auction phase 520, a midpoint peg order of“Buy 50 at mid” is entered. The auction price 602 and volume are bothzero at this time. When a sell order of “Sell 60 at mid” is received,the orders cross to create order crossing 526. According to the BBOtimeline 502, the auction price 602 is 10.5, with a volume of 60.

At times 518 and 516, even though the BBO changes, the auction price 602remains fixed at 10.5. In this example, the trade would occur at theorder uncrossing 528, where a trade of 60 shares at 10.5 occurs. Here,BBO band changes during the call phase do not affect the auction price602, which prevents BBO price band manipulation opportunities. In oneexample embodiment, if the auction price 602 is outside the BBO at theorder uncross 528, the auction is cancelled. Orders may not be cancelledduring the call phase.

FIG. 7 illustrates a time series diagram 700 with peg and limit orders.The actions in the time series diagram 700 can be performed by aprocessor implementing matching engine 104 as shown in system 100 ofFIG. 1 .

Time series diagram 700 includes a BBO timeline 502 and an auctiontimeline 504. During the timelines 502 and 504, orders can be placed andmarket data may change. Time series diagram 700 depicts price in avertical direction and time in a horizontal direction.

The BBO timeline 502 includes a BBO band using market data. The BBO bandhas a bid price 512 and an offer price 514. In this example, the bidprice 512 is 10 at time T0 and the offer price 514 is 11, and at time518 the bid price changes to 11.2 and at time 516 the offer pricechanges to 10.2.

The auction timeline 504 includes a pre-auction phase 520, an auctioncall phase 522, and an uncross phase 524. The pre-auction phase 520 isthe time prior to the auction call phase 522. The auction call phase 522lasts until order uncrossing 528. The uncross phase 524 occurs afterorder uncrossing 528. During these phases, the matching engine consumesorder messages from trading members and the BBO price band feed as shownin the BBO timeline 502 and auction timeline 504. The matching engineuses the pricing process to establish an auction price 702. The matchingengine then processes an auction whereby the price created is publishedand further order messages can be submitted, referred to as the auctioncall phase 522. The call phase 522 is the period when the auctionpublishes the price and volume which best satisfy the auction process.At the end of the call phase, the auction will “uncross” at orderuncrossing 528 and create trades based on the prioritization logic inthe pricing process of the uncross phase 524.

In FIG. 7 , during the pre-auction phase 520, a midpoint peg order of“Buy 52 at mid” is entered. The auction price 702 and volume are bothzero at this time. When a sell order of “Sell 45 at limit=10” isreceived, the orders cross to create order crossing 526. According tothe BBO timeline 502, the auction price 702 is 10.25, with a volume of45.

At time 518, the auction price 702 changes to 10.3, and at time 516, theauction price 702 changes to 10.35. Because of the BBO band changes, themarket data can be manipulated on the reference market during theauction call phase 522 affecting the bid/mid/offer prices on peg ordersin the auction. In this example, the trade would occur at the orderuncrossing 528, where a trade of 45 shares at 10.35 occurs. Embodimentsof this disclosure recognize and consider that changes in the BBO cancreate unfavorable price movements. Orders can be cancelled during theauction call phase 522 when prices change, which adversely affects othermembers in the auction.

FIG. 8 illustrates a time series diagram 800 with peg and limit orders,according to an embodiment of this disclosure. The actions in the timeseries diagram 800 can be performed by a processor implementing matchingengine 104 as shown in system 100 of FIG. 1 . Compared to time seriesdiagram 700 of FIG. 7 , the auction price 802 is determined at the timethe auction is opened and fixed throughout the auction

Time series diagram 800 includes an BBO timeline 502 and an auctiontimeline 504. During the timelines 502 and 504, orders can be placed andmarket data may change. Time series diagram 800 depicts price in avertical direction and time in a horizontal direction.

The BBO timeline 502 includes a BBO band using market data. The BBO bandhas a bid price 512 and an offer price 514. In this example, the bidprice 512 is 10 at time T0 and the offer price 514 is 11, and at time518 the bid price changes to 11.2 and at time 516 the offer pricechanges to 10.2.

The auction timeline 504 includes a pre-auction phase 520, an auctioncall phase 522, and an uncross phase 524. The pre-auction phase 520 isthe time prior to the auction call phase 522. The auction call phase 522lasts until order uncrossing 528. The uncross phase 524 occurs afterorder uncrossing 528. During these phases, the matching engine consumesorder messages from trading members and the BBO price band feed as shownin the BBO timeline 502 and auction timeline 504. The matching engineuses the pricing process to establish an auction price 702. The matchingengine then processes an auction whereby the price created is publishedand further order messages can be submitted, referred to as the auctioncall phase 522. The call phase 522 is the period when the auctionpublishes the price and volume which best satisfy the auction process.At the end of the call phase, the auction will “uncross” at orderuncrossing 528 and create trades based on the prioritization logic inthe pricing process of the uncross phase 524.

In FIG. 8 , during the pre-auction phase 520, a midpoint peg order of“Buy 52 at mid” is entered. The auction price 802 and volume are bothzero at this time. When a sell order of “Sell 45 at limit=10” isreceived, the orders cross to create order crossing 526. According tothe BBO timeline 502, the auction price 802 is 10.25, with a volume of45.

At times 518 and 516, even though the BBO changes, the auction price 802remains fixed at 10.25. In this example, the trade would occur at theorder uncrossing 528, where a trade of 60 shares at 10.5 occurs. Here,BBO band changes during the call phase do not affect the auction price802, which prevents BBO price band manipulation opportunities. In oneexample embodiment, if the auction price 802 is outside the BBO at theorder uncross 528, the auction is cancelled. Orders may not be cancelledduring the call phase.

FIG. 9 illustrates a time series diagram 900 with BBO manipulation atprice determination. The actions in the time series diagram 900 can beperformed by a processor implementing matching engine 104 as shown insystem 100 of FIG. 1 .

Time series diagram 900 includes an BBO timeline 502 and an auctiontimeline 504. During the timelines 502 and 504, orders can be placed andmarket data may change. Time series diagram 900 depicts price in avertical direction and time in a horizontal direction.

The BBO timeline 502 includes a BBO band using market data. The BBO bandhas a bid price 512 and an offer price 514. In this example, the bidprice 512 is 10 at time T0 and the offer price 514 is 11, and at time518 the bid price changes to 11.2 and at time 516 the offer pricechanges to 10.2.

The auction timeline 504 includes a pre-auction phase 520, an auctioncall phase 522, and an uncross phase 524. The pre-auction phase 520 isthe time prior to the auction call phase 522. The auction call phase 522lasts until order uncrossing 528. The uncross phase 524 occurs afterorder uncrossing 528. During these phases, the matching engine consumesorder messages from trading members and the BBO price band feed as shownin the BBO timeline 502 and auction timeline 504. The matching engineuses the pricing process to establish an auction price 902. The matchingengine then processes an auction whereby the price created is publishedand further order messages can be submitted, referred to as the auctioncall phase 522. The call phase 522 is the period when the auctionpublishes the price and volume which best satisfy the auction process.At the end of the call phase, the auction will “uncross” at orderuncrossing 528 and create trades based on the prioritization logic inthe pricing process of the uncross phase 524.

In FIG. 9 , during the pre-auction phase 520, a midpoint peg order of“Sell 75 at mid” is entered. The auction price 902 and volume are bothzero during at this time. When a buy order of “Buy 65 at limit=10.5” isreceived, the orders cross to create order crossing 526. In thisexample, at time 904 that occurs during order crossing 526, there is aBBO manipulation where the buy price is at 10.8 (down from 11) for abrief period of time. This period of time could be, for example, lessthan 10 ms. According to the BBO timeline 502, the auction price 902 is10.45, with a volume of 65. The auction price 902, would have been 10.5if not for the temporary price manipulation at time 904.

At times 518 and 516, even though the BBO changes, the auction price 902remains fixed at 10.45. In this example, the trade would occur at theorder uncrossing 528, where a trade of 65 shares at 10.45 occurs. Here,BBO band changes during the call phase do not affect the auction price902, which prevents BBO price band manipulation opportunities. In oneexample embodiment, if the auction price 902 is outside the BBO at theorder uncross 528, the auction is cancelled. Orders may not be cancelledduring the call phase.

FIG. 10 illustrates a time series diagram 1000 with price lookbackstabilization according to an embodiment of this disclosure. The actionsin the time series diagram 1000 can be performed by a processorimplementing matching engine 104 as shown in system 100 of FIG. 1 .Compared to time series diagram 900 of FIG. 9 , time series diagram 1000does not allow for price manipulation at an auction start.

Time series diagram 1000 includes an BBO timeline 502 and an auctiontimeline 504. During the timelines 502 and 504, orders can be placed andmarket data may change. Time series diagram 1000 depicts price in avertical direction and time in a horizontal direction.

The BBO timeline 502 includes a BBO band using market data. The BBO bandhas a bid price 512 and an offer price 514. In this example, the bidprice 512 is 10 at time T0 and the offer price 514 is 11, and at time518 the bid price changes to 11.2 and at time 516 the offer pricechanges to 10.2.

The auction timeline 504 includes a pre-auction phase 520, an auctioncall phase 522, and an uncross phase 524. The pre-auction phase 520 isthe time prior to auction call phase 522. The auction call phase 522lasts until order uncrossing 528. The uncross phase 524 occurs afterorder uncrossing 528. During these phases, the matching engine consumesorder messages from trading members and the BBO price band feed as shownin the BBO timeline 502 and auction timeline 504. The matching engineuses the pricing process to establish an auction price 902. The matchingengine then processes an auction whereby the price created is publishedand further order messages can be submitted, referred to as the auctioncall phase 522. The call phase 522 is the period when the auctionpublishes the price and volume which best satisfy the auction process.At the end of the call phase, the auction will “uncross” at orderuncrossing 528 and create trades based on the prioritization logic inthe pricing process of the uncross phase 524.

In FIG. 10 , during the pre-auction phase 520, a midpoint peg order of“Sell 75 at mid” is entered. The auction price 1002 and volume are bothzero during at this time. When a buy order of “Buy 65 at limit=10.5” isreceived, the orders cross to create order crossing 526. At time 1004,which occurs during order crossing 526, there is a BBO manipulationwhere the buy price is at 10.8 (down from 11) for a brief period oftime. This period of time could be, for example, less than 10 ms. Thematching engine performs a lookback of the BBO band to determine whetherany changes occurred within a threshold period of time prior to ordercrossing 526. Because, in the first example, there was the a BBOmanipulation at 1004 that occurred within the lookback period, theauction is not started. Rather, the matching engine waits until thethreshold period of time elapses without a BBO change. In this example,the auction starts at order crossing 1010 when the conditions are metwithout a price change. As a result of the lookback, the auction price1001 is 10.5.

At times 518 and 516, even though the BBO changes, the auction price1002 remains fixed at 10.5. In this example, the trade would occur atthe order uncrossing 528, where a trade of 65 shares at 10.5 occurs.Here, BBO band changes during the call phase do not affect the auctionprice 1002, which prevents further BBO price band manipulationopportunities. In one example embodiment, if the auction price 1002 isoutside the BBO at the order uncross 528, the auction is cancelled.Orders may not be cancelled during the call phase

FIG. 11 illustrates a time series diagram 1100 with BBO latency at pricedetermination. The actions in the time series diagram 1100 can beperformed by a processor implementing matching engine 104 as shown insystem 100 of FIG. 1 .

Time series diagram 1100 includes a BBO timeline 502 and an auctiontimeline 504. During the timelines 502 and 504, orders can be placed andmarket data may change. Time series diagram 1100 depicts price in avertical direction and time in a horizontal direction.

The BBO timeline 502 includes a BBO band using market data. The BBO bandhas a bid price 512 and an offer price 514. In this example, the bidprice 512 is 10 at time T0 and the offer price 514 is 10.8. At time 515,the offer price 514 changes to 11, at time 518 the offer price 514changes to 11.2, and at time 516 the bid price 512 changes to 10.2.

The auction timeline 504 includes a pre-auction phase 520, an auctioncall phase 522, and an uncross phase 524. The pre-auction phase 520 isthe time prior to the auction call phase 522. The auction call phase 522lasts until order uncrossing 528. The uncross phase 524 occurs afterorder uncrossing 528. During these phases, the matching engine consumesorder messages from trading members and the BBO price band feed as shownin the BBO timeline 502 and auction timeline 504. The matching engineuses the pricing process to establish an auction price 902. The matchingengine then processes an auction whereby the price created is publishedand further order messages can be submitted, referred to as the auctioncall phase 522. The call phase 522 is the period when the auctionpublishes the price and volume which best satisfy the auction process.At the end of the call phase, the auction will “uncross” at orderuncrossing 528 and create trades based on the prioritization logic inthe pricing process of the uncross phase 524.

In FIG. 11 , during the pre-auction phase 520, a midpoint peg order of“Sell 75 at mid” is entered. The auction price 1102 and volume are bothzero during at this time. When a buy order of “Buy 65 at limit=10.5” isreceived, the orders cross to create order crossing 526. At time 1104,which occurs prior to order crossing 526, there is price change from10.8 to 11 for the offer price 514. BBO feeds from reference markets tothe auction system may have an associated latency. This creates anopportunity for members with more advance technology to exploit thelatency. Here, the buyer sees an offer price increase at 1104 on thereference market and submits a buy order before the auction receives theprice update at 1106. As a result, the auction is opened at a time and aprice which is not representative of what the mid-peg order should bedue to the BBO latency. For example, the order crossing 526 occurs whenthe auction system considers the midpoint to be 10.45, where themidpoint of the BBO is 10.5.

At times 518 and 516, even though the BBO changes, the auction price1002 remains fixed at 10.45. In this example, the trade would occur atthe order uncrossing 528, where a trade of 65 shares at 10.45 occurs.Here, BBO band changes during the call phase do not affect the auctionprice 1102, which prevents further BBO price band manipulationopportunities. In one example embodiment, if the auction price 1102 isoutside the BBO at the order uncross 528, the auction is cancelled.Orders may not be cancelled during the call phase.

FIG. 12 illustrates a time series diagram 1200 with price stabilizationlook forward according to an embodiment of this disclosure. The actionsin the time series diagram 1200 can be performed by a processorimplementing matching engine 104 as shown in system 100 of FIG. 1 .Compared to time series diagram 1100 of FIG. 11 , time series diagram1200 does not allow for price manipulation due to latency.

Time series diagram 1100 includes an BBO timeline 502 and an auctiontimeline 504. During the timelines 502 and 504, orders can be placed andmarket data may change. Time series diagram 1100 depicts price in avertical direction and time in a horizontal direction.

The BBO timeline 502 includes a BBO band using market data. The BBO bandhas a bid price 512 and an offer price 514. In this example, the bidprice 512 is 10 at time T0 and the offer price 514 is 10.8. At time 515,the offer price 514 changes to 11, at time 518 the offer price 514changes to 11.2, and at time 516 the bid price 512 changes to 10.2.

The auction timeline 504 includes a pre-auction phase 520, an auctioncall phase 522, and an uncross phase 524. The pre-auction phase 520 isthe time prior to the auction call phase 522. The auction call phase 522lasts until order uncrossing 528. The uncross phase 524 occurs afterorder uncrossing 528. During these phases, the matching engine consumesorder messages from trading members and the BBO price band feed as shownin the BBO timeline 502 and auction timeline 504. The matching engineuses the pricing process to establish an auction price 902. The matchingengine then processes an auction whereby the price created is publishedand further order messages can be submitted, referred to as the auctioncall phase 522. The call phase 522 is the period when the auctionpublishes the price and volume which best satisfy the auction process.At the end of the call phase, the auction will “uncross” at orderuncrossing 528 and create trades based on the prioritization logic inthe pricing process of the uncross phase 524.

In FIG. 12 , during the pre-auction phase 520, a midpoint peg order of“Sell 75 at mid” is entered. The auction price 1102 and volume are bothzero during at this time. When a buy order of “Buy 65 at limit=10.5” isreceived, the orders cross to create order crossing 526. At time 1104,which occurs prior to order crossing 526, there is price change from10.8 to 11 for the offer price 514. BBO feeds from reference markets tothe auction system may have an associated latency. This creates anopportunity for members with more advance technology to exploit thelatency. Here, the buyer sees an offer price increase at 1204 on thereference market and submits a buy order before the auction receives theprice update at 1206. In this embodiment, the auction will not begin ifthe BBO band moves within a specified period of time after the orderscrossing 526. That is, the matching engine will not set the auctionprice 1202 until the specified period of time 1208 elapses after anorder crossing 526 without a move in the prices 512 and 514 of the BBO.At time 1210, the auction may begin once the specified period of time1208 occurs without a move in the auction price 1202, which is set to10.5.

At times 518 and 516, even though the BBO changes, the auction price1002 remains fixed at 10.5. In this example, the trade would occur atthe order uncrossing 528, where a trade of 65 shares at 10.5 occurs.Here, BBO band changes during the call phase do not affect the auctionprice 1102, which prevents further BBO price band manipulationopportunities. In one example embodiment, if the auction price 1102 isoutside the BBO at the order uncross 528, the auction is cancelled.Orders may not be cancelled during the call phase.

FIG. 13 illustrates a time series diagram 1300 with lookback and lookforward periods according to an embodiment of this disclosure. Theactions in the time series diagram 1300 can be performed by a processorimplementing matching engine 104 as shown in system 100 of FIG. 1 .

Time series diagram 1300 includes an BBO timeline 502 and an auctiontimeline 504. During the timelines 502 and 504, orders can be placed andmarket data may change. Time series diagram 1300 depicts price in avertical direction and time in a horizontal direction.

The BBO timeline 502 includes a BBO band using market data. The BBO bandhas a bid price 512 and an offer price 514. In this example, the bidprice 512 is 10 at time T0 and the offer price 514 is 10.8. A time 518the offer price 514 changes to 11.2, and at time 516 the bid price 512changes to 10.2.

The auction timeline 504 includes a pre-auction phase 520, an auctioncall phase 522, and an uncross phase 524. The pre-auction phase 520 isthe time prior to the auction call phase 522. The auction call phase 522lasts until order uncrossing 528. The uncross phase 524 occurs afterorder uncrossing 528. During these phases, the matching engine consumesorder messages from trading members and the BBO price band feed as shownin the BBO timeline 502 and auction timeline 504. The matching engineuses the pricing process to establish an auction price 1302. Thematching engine then processes an auction whereby the price created ispublished and further order messages can be submitted, referred to asthe auction call phase 522. The call phase 522 is the period when theauction publishes the price and volume which best satisfy the auctionprocess. At the end of the call phase, the auction will “uncross” atorder uncrossing 528 and create trades based on the prioritization logicin the pricing process of the uncross phase 524.

In FIG. 13 , during the pre-auction phase 520, a midpoint peg order of“Sell 75 at mid” is entered. The auction price 1302 and volume are bothzero at this time. When a buy order of “Buy 65 at limit=10.5” isreceived, the orders cross to create order crossing 526. In thisembodiment, the auction will not begin if the BBO band moves within aspecified period of time before or after the orders crossing 526. Thatis, the matching engine will not set the auction price 1302 until aspecified period of time 1304 elapses before and a specified period oftime 1306 after an order crossing 526 without a move in the prices 512and 514 of the BBO. At time 1308, the auction may begin where theauction price 1302 is set to 10.5.

At times 518 and 516, even though the BBO changes, the auction price1002 remains fixed at 10.5. In this example, the trade would occur atthe order uncrossing 528, where a trade of 65 shares at 10.5 occurs.Here, BBO band changes during the call phase do not affect the auctionprice 1102, which prevents further BBO price band manipulationopportunities. In one example embodiment, if the auction price 1302 isoutside the BBO at the order uncross 528, the auction is cancelled.Orders may not be cancelled during the call phase.

In some embodiments, various functions described in this patent documentare implemented or supported by a computer program that is formed fromcomputer readable program code and that is embodied in a computerreadable medium. The phrase “computer readable program code” includesany type of computer code, including source code, object code, andexecutable code. The phrase “computer readable medium” includes any typeof medium capable of being accessed by a computer, such as read onlymemory (ROM), random access memory (RAM), a hard disk drive, a compactdisc (CD), a digital video disc (DVD), or any other type of memory. A“non-transitory” computer readable medium excludes wired, wireless,optical, or other communication links that transport transitoryelectrical or other signals. A non-transitory computer readable mediumincludes media where data can be permanently stored and media where datacan be stored and later overwritten, such as a rewritable optical discor an erasable memory device.

It may be advantageous to set forth definitions of certain words andphrases used throughout this patent document. The terms “application”and “program” refer to one or more computer programs, softwarecomponents, sets of instructions, procedures, functions, objects,classes, instances, related data, or a portion thereof adapted forimplementation in a suitable computer code (including source code,object code, or executable code). The term “communicate,” as well asderivatives thereof, encompasses both direct and indirect communication.The terms “include” and “comprise,” as well as derivatives thereof, meaninclusion without limitation. The term “or” is inclusive, meaningand/or. The phrase “associated with,” as well as derivatives thereof,may mean to include, be included within, interconnect with, contain, becontained within, connect to or with, couple to or with, be communicablewith, cooperate with, interleave, juxtapose, be proximate to, be boundto or with, have, have a property of, have a relationship to or with, orthe like. The phrase “at least one of,” when used with a list of items,means that different combinations of one or more of the listed items maybe used, and only one item in the list may be needed. For example, “atleast one of: A, B, and C” includes any of the following combinations:A, B, C, A and B, A and C, B and C, and A and B and C.

The description in this patent document should not be read as implyingthat any particular element, step, or function is an essential orcritical element that must be included in the claim scope. Also, none ofthe claims is intended to invoke 35 U.S.C. § 112(f) with respect to anyof the appended claims or claim elements unless the exact words “meansfor” or “step for” are explicitly used in the particular claim, followedby a participle phrase identifying a function. Use of terms such as (butnot limited to) “mechanism,” “module,” “device,” “unit,” “component,”“element,” “member,” “apparatus,” “machine,” “system,” “processor,”“processing device,” or “controller” within a claim is understood andintended to refer to structures known to those skilled in the relevantart, as further modified or enhanced by the features of the claimsthemselves, and is not intended to invoke 35 U.S.C. § 112(f).

While this disclosure has described certain embodiments and generallyassociated methods, alterations and permutations of these embodimentsand methods will be apparent to those skilled in the art. Accordingly,the above description of example embodiments does not define orconstrain this disclosure. Other changes, substitutions, and alterationsare also possible without departing from the spirit and scope of thisdisclosure, as defined by the following claims.

What is claimed is:
 1. A non-transitory computer-readable medium storinginstructions that, when executed by at least one processing device,cause the at least one processing device to: (i) obtain an order relatedto an asset from an electronic trading system; (ii) identify a value forthe asset to be used during an intraday auction involving the asset, theidentified value based on a detected order cross within the orders,wherein the value is identified and set prior to the intraday auction,and wherein the value is located within a best bid and best offer spread(BBO) band; (iii) determine whether the BBO band has changed within amillisecond time period after the detected order cross; responsive todetermining that the BBO band has changed during the millisecond timeperiod, repeat steps (i) to (iii); and responsive to determining thatthe BBO band has not changed during the millisecond time period,initiate the intraday auction involving the asset based on theidentified and set value and the detected order cross, wherein changesto the BBO band during the intraday auction do not affect the identifiedand set value.
 2. The non-transitory computer-readable medium of claim1, further storing instructions that, when executed by at least oneprocessing device, cause the at least one processing device to:determine that the BBO band has not changed for a millisecond timebefore the detected order cross, wherein the intraday auction isinitiated based on the determination.
 3. The non-transitorycomputer-readable medium of claim 2, wherein the intraday auction isinitiated based on determining that the BBO band has not changed for themillisecond time period before the detected order cross.
 4. Thenon-transitory computer-readable medium of claim 3, wherein themillisecond period of time restarts if a change in the BBO band isdetected.
 5. The non-transitory computer-readable medium of claim 1,wherein the millisecond period of time restarts if a change in the BBOband is detected.
 6. The non-transitory computer-readable medium ofclaim 1, further storing instructions that, when executed by at leastone processing device, cause the at least one processing device to:create trades using order messages associated with the intraday auctionbased on a prioritization.
 7. The non-transitory computer-readablemedium of claim 1, further storing instructions that, when executed byat least one processing device, cause the at least one processing deviceto: receive conditional offers for the asset during the intradayauction; and match the conditional offers from different parties.
 8. Thenon-transitory computer-readable medium of claim 1, wherein the BBO bandis created using market data received from a real-time BBO feed.
 9. Thenon-transitory computer-readable medium of claim 1, wherein the BBO bandis based on a real-time BBO feed that receives exchange market data froma plurality of reference markets.
 10. An apparatus comprising: at leastone processing device; and at least one memory storing instructionsthat, when executed by the at least one processing device, cause the atleast one processing device to: (i) obtain an order related to an assetfrom an electronic trading system; (ii) identify a value for the assetto be used during an intraday auction involving the asset, theidentified value based on a detected order cross within the orders,wherein the value is identified and set prior to the intraday auction,and wherein the value is located within a best bid and best offer spread(BBO) band; (iii) determine whether the BBO band has changed within amillisecond time period after the detected order cross; responsive todetermining that the BBO band has changed during the millisecond timeperiod, repeat steps (i) to (iii); and responsive to determining thatthe BBO band has not changed during the millisecond time period,initiate the intraday auction involving the asset based on theidentified and set value and the detected order cross, wherein changesto the BBO band during the intraday auction do not affect the identifiedand set value.
 11. The apparatus of claim 10, wherein the at least oneprocessing device is further configured to: determine that the BBO bandhas not changed for a millisecond time before the detected order cross,wherein the intraday auction is initiated based on the determination.12. The apparatus of claim 11, wherein the intraday auction is initiatedbased on determining that the BBO band has not changed for themillisecond time period before the detected order cross.
 13. Theapparatus of claim 10, wherein the millisecond period of time restartsif a change in the BBO band is detected.
 14. The apparatus of claim 10,wherein the at least one processing device is further configured to:create trades using order messages associated with the intraday auctionbased on a prioritization.
 15. The apparatus of claim 10, wherein the atleast one processing device is further configured to: receivingconditional offers for the asset during the intraday auction; andmatching the conditional offers from different parties.
 16. Theapparatus of claim 10, wherein the BBO band is created using market datareceived from a real-time BBO feed.
 17. The apparatus of claim 10,wherein the BBO band is based on a real-time BBO feed that receivesexchange market data from a plurality of reference markets.
 18. A methodof using at least one processing device to prevent manipulation in anelectronic trading system comprising: (i) obtaining an order related toan asset from an electronic trading system; (ii) identifying a value forthe asset to be used during an intraday auction involving the asset, theidentified value based on a detected order cross within the orders,wherein the value is identified and set prior to the intraday auction,and wherein the value is located within a best bid and best offer spread(BBO) band; (iii) determining whether the BBO band has changed within amillisecond time period after the detected order cross; responsive todetermining that the BBO band has changed during the millisecond timeperiod, repeating steps (i) to (iii); and responsive to determining thatthe BBO band has not changed during the millisecond time period,initiating the intraday auction involving the asset based on theidentified and set value and the detected order cross, wherein changesto the BBO band during the intraday auction do not affect the identifiedand set value.
 19. The method of claim 18, further comprising:determining that the BBO band has not changed for a millisecond timebefore the detected order cross, wherein the intraday auction isinitiated based on the determination.
 20. The method of claim 19,wherein the intraday auction is initiated based on determining that theBBO band has not changed for the millisecond time period before thedetected order cross.